If you solder the pins like I wrote you will get minimum stress even during use, not only during insertion and you can easily protect the pin on the EZ10B from the heat if you put a crocodile clamp on the pin you solder as that works as a heat sink, you can also use a fan to blow on the pin while soldering. Putting a crocodile clamp on the part you are soldering to protect it from the heat is a trick usually used to solder heat sensitive components or on wires with a plastic cover which tends to shrink away from heat.
In one old brochure from Elesta they mentioned that they used a special type of glass both in the envelope of the dekatron and in the base/pin seals to minimise gas leakage, that is probably the reason why their EZ10B's work so well after all these years compared to the Z505S and similar types.
I've never had a EZ10B (nor the EZ10A) break in any of the sockets I built nor in the original sockets even though the insertion force has been quite hight on the original sockets. I've bought a lot of used EZ10B's on ebay with bent pins that I have had to straighen before I could use them in a socket, and these too work well.
The EZ10A/B seems to have been built a bit more durable than the competing dekatrons, but you should of course be careful when inserting them anyway.
Another way of making a socket for these is to drill two pieces of FR4 (without copper), used as top and bottom cover, with holes just large enough for the crimp pins to pass through but not for the "bump" you find on the crimp pin. Then you drill a third FR4, used as the centre piece, with a hole large enough for the "bump" and thick enough for the "bump" to be completely covered. Then you put the pins in the bottom piece, put the centre piece on and then the top piece. You'll have to have holes at either side for either a rivet or screws to keep them together. This way you have a socket with freely moving pins and you wont have to worry about the forces on the pins. The "bump" is there to keep the pin in the D-SUB contact so it doesn't slide out. This is a more complicated socket and I only made one before making the solder type, it took to much time to make at home. Now with low prices on PCB's professionally manufactured you could easily make these three pieces for a very low cost and with the diameter of the holes correct for the crimp pins, and with correct thickness of each PCB piece.
/Martin